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Статті в журналах з теми "Generalized Autoregressive Conditional Heteroscedasticity":
Rossetti, Nara, Marcelo Seido Nagano, and Jorge Luis Faria Meirelles. "A behavioral analysis of the volatility of interbank interest rates in developed and emerging countries." Journal of Economics, Finance and Administrative Science 22, no. 42 (June 12, 2017): 99–128. http://dx.doi.org/10.1108/jefas-02-2017-0033.
Xiao, Zhijie, and Roger Koenker. "Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models." Journal of the American Statistical Association 104, no. 488 (December 2009): 1696–712. http://dx.doi.org/10.1198/jasa.2009.tm09170.
Zhang, Xibin, and Maxwell L. King. "Influence Diagnostics in Generalized Autoregressive Conditional Heteroscedasticity Processes." Journal of Business & Economic Statistics 23, no. 1 (January 2005): 118–29. http://dx.doi.org/10.1198/073500104000000217.
Santi Singagerda, Faurani, Linda Septarina, and Anuar Sanusi. "The volatility model of the ASEAN Stock Indexes." Investment Management and Financial Innovations 16, no. 1 (March 18, 2019): 226–38. http://dx.doi.org/10.21511/imfi.16(1).2019.18.
Jiang, Wen, Zheng Yan, Dong-Han Feng, and Zhi Hu. "Wind speed forecasting using autoregressive moving average/generalized autoregressive conditional heteroscedasticity model." European Transactions on Electrical Power 22, no. 5 (June 24, 2011): 662–73. http://dx.doi.org/10.1002/etep.596.
Otto, Philipp, Wolfgang Schmid, and Robert Garthoff. "Generalised spatial and spatiotemporal autoregressive conditional heteroscedasticity." Spatial Statistics 26 (August 2018): 125–45. http://dx.doi.org/10.1016/j.spasta.2018.07.005.
Bahramgiri, Mohsen, Shahabeddin Gharaati, and Iman Dolatabadi. "Modeling jumps in organization of petroleum exporting countries basket price using generalized autoregressive heteroscedasticity and conditional jump." Investment Management and Financial Innovations 13, no. 4 (December 29, 2016): 196–202. http://dx.doi.org/10.21511/imfi.13(4-1).2016.05.
Haris, M. Al. "PERAMALAN HARGA EMAS DENGAN MODEL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (GARCH)." Jurnal Saintika Unpam : Jurnal Sains dan Matematika Unpam 3, no. 1 (July 22, 2020): 19. http://dx.doi.org/10.32493/jsmu.v3i1.5263.
Yip, Iris W. H., and Mike K. P. So. "Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model." Mathematics and Computers in Simulation 80, no. 2 (October 2009): 327–40. http://dx.doi.org/10.1016/j.matcom.2009.07.001.
Aminul Isl, Mohd. "Applying Generalized Autoregressive Conditional Heteroscedasticity Models to Model Univariate Volatility." Journal of Applied Sciences 14, no. 7 (March 15, 2014): 641–50. http://dx.doi.org/10.3923/jas.2014.641.650.
Дисертації з теми "Generalized Autoregressive Conditional Heteroscedasticity":
Widing, Härje. "Business analytics tools for data collection and analysis of COVID-19." Thesis, Linköpings universitet, Statistik och maskininlärning, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-176514.
Odusami, Babatunde Olatunji. "A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models." ScholarWorks@UNO, 2006. http://scholarworks.uno.edu/td/1049.
Oztek, Mehmet Fatih. "Modeling Co-movements Among Financial Markets: Applications Of Multivariate Autoregressive Conditional Heteroscedasticity With Smooth Transitions In Conditional Correlations." Phd thesis, METU, 2013. http://etd.lib.metu.edu.tr/upload/12615713/index.pdf.
stock markets and two commodity markets are considered as alternative markets. Among emerging countries, Turkey and China are chosen due to their promising growth performance since the mid-2000s. As commodity markets, agricultural commodity and precious metal markets are selected because of the outstanding performance of the former and the "
safe harbor"
property of the latter. The structures and properties of dependence between these markets and stock markets in developed countries are examined by modeling the conditional correlation in the dynamic conditional correlation framework. The results reveal that upward trend hypothesis is valid for almost all correlations among market pairs and market volatility plays significant role in time varying structures of correlations.
Chang, Tsangyao. "An Application of Autoregressive Conditional Heteroskedasticity (Arch) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) Modelling on Taiwan's Time-Series Data: Three Essays." DigitalCommons@USU, 1995. http://digitalcommons.usu.edu/etd/4040.
Tinkl, Fabian [Verfasser], and Ingo [Akademischer Betreuer] Klein. "Asymptotic Theory for M-estimators in general autoregressive conditional heteroscedasticity models / Fabian Tinkl. Betreuer: Ingo Klein." Erlangen : Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU), 2013. http://d-nb.info/1077582838/34.
Grego, Simone. "Modelos para relacionar variáveis de solos e área basal de espécies florestais em uma área de vegetação natural." Universidade de São Paulo, 2014. http://www.teses.usp.br/teses/disponiveis/11/11134/tde-03122014-142123/.
The spatial pattern of occurrenceis of forest species and their attributes, such as the basal area of trees, can provide information for understanding the structure of the vegetable community. Considering the environmental factors can influence the spatial pattern of occurrences of species in native forests and related attributes, describing relationship between environmental characteristics and spatial pattern of forest species can be associated with the dynamics of forests. The objective of the present study is to assess different statistical methods used to identify which soil attributes are associated with the basal area of each tree selected species. The basal area was considered as the response variable and the covariates are given by a large number of physical and chemical attributes of the soil, measured at a grid of locations covering the study area. The methods considered are the multiple linear regression with stepwise model selection, generalized additive models and regression trees. Spatial effects were added to the models, in order to ascertain whether there is residual spatial patterns not captured by the covariates. Thus, simultaneous autoregressive model, autoregressive conditional and geostatistical were considered. Considering the large number of soil attributes, analysis were were conducted both ways, using the original covariates, and using factors identified in a preliminar factor analysis of the soil attributes. Model selection was used to identify the relevant attributes of soil as well as the presence and better description of spatial patterns. The study area was the Ecological Station of Assis, the Conservation Unit of the State of São Paulo in permanent plots within the \"Diversity Dynamics and Conservation Forests in the State of São Paulo: 40 ha of permanent plots\" project, under the research project FAPESP biota. The analyzes reported here refer to the basal area of the species Copaifera langsdorffii, Vochysia tucanorum and Xylopia aromatica. Results differ among the considered methods reinforcing the reccomendation of considering differing modeling strategies. Covariates consistently associated with basal area are slope, altitude and aluminum saturation, potassium, relevant to at least two of the species. Results obtained showed the presence of patterns in residual variability, even taking into account the effects of covariates. The soil characteristics only partially explain the variability of the basal area and there are spatial patterns not captured by these covariates.
Edberg, Christopher, and Oliver Kjellander. "Calendar Anomalies in the Nordic Stock Markets : A quantitative study of the Sell in May effect, January effect & Monthly Anomalies." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-105272.
Arotiba, Gbenga Joseph. "Pricing American Style Employee Stock Options having GARCH Effects." Thesis, University of the Western Cape, 2010. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_3057_1298615964.
We investigate some simulation-based approaches for the valuing of the employee stock options. The mathematical models that deal with valuation of such options include the work of Jennergren and Naeslund [L.P Jennergren and B. Naeslund, A comment on valuation of executive stock options and the FASB proposal, Accounting Review 68 (1993) 179-183]. They used the Black and Scholes [F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of Political Economy 81(1973) 637-659] and extended partial differential equation for an option that includes the early exercise. Some other major relevant works to this mini thesis are Hemmer et al. [T Hemmer, S. Matsunaga and T Shevlin, The influence of risk diversification on the early exercise of employee stock options by executive officers, Journal of Accounting and Economics 21(1) (1996) 45-68] and Baril et al. [C. Baril, L. Betancourt, J. Briggs, Valuing employee stock options under SFAS 123 R using the Black-Scholes-Merton and lattice model approaches, Journal of Accounting Education 25 (1-2) (2007) 88-101]. The underlying assets are studied under the GARCH (generalized autoregressive conditional heteroskedasticity) effects. Particular emphasis is made on the American style employee stock options.
Santos, Helton Saulo Bezerra dos. "Essays on Birnbaum-Saunders models." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2013. http://hdl.handle.net/10183/87375.
In this thesis, we present three different applications of Birnbaum-Saunders models. In Chapter 2, we introduce a new nonparametric kernel method for estimating asymmetric densities based on generalized skew-Birnbaum-Saunders distributions. Kernels based on these distributions have the advantage of providing flexibility in the asymmetry and kurtosis levels. In addition, the generalized skew-Birnbaum-Saunders kernel density estimators are boundary bias free and achieve the optimal rate of convergence for the mean integrated squared error of the nonnegative asymmetric kernel density estimators. We carry out a data analysis consisting of two parts. First, we conduct a Monte Carlo simulation study for evaluating the performance of the proposed method. Second, we use this method for estimating the density of three real air pollutant concentration data sets, whose numerical results favor the proposed nonparametric estimators. In Chapter 3, we propose a new family of autoregressive conditional duration models based on scale-mixture Birnbaum-Saunders (SBS) distributions. The Birnbaum-Saunders (BS) distribution is a model that has received considerable attention recently due to its good properties. An extension of this distribution is the class of SBS distributions, which allows (i) several of its good properties to be inherited; (ii) maximum likelihood estimation to be efficiently formulated via the EM algorithm; (iii) a robust estimation procedure to be obtained; among other properties. The autoregressive conditional duration model is the primary family of models to analyze high-frequency financial transaction data. This methodology includes parameter estimation by the EM algorithm, inference for these parameters, the predictive model and a residual analysis. We carry out a Monte Carlo simulation study to evaluate the performance of the proposed methodology. In addition, we assess the practical usefulness of this methodology by using real data of financial transactions from the New York stock exchange. Chapter 4 deals with process capability indices (PCIs), which are tools widely used by companies to determine the quality of a product and the performance of their production processes. These indices were developed for processes whose quality characteristic has a normal distribution. In practice, many of these characteristics do not follow this distribution. In such a case, the PCIs must be modified considering the non-normality. The use of unmodified PCIs can lead to inadequacy results. In order to establish quality policies to solve this inadequacy, data transformation has been proposed, as well as the use of quantiles from non-normal distributions. An asymmetric non-normal distribution which has become very popular in recent times is the Birnbaum-Saunders (BS) distribution. We propose, develop, implement and apply a methodology based on PCIs for the BS distribution. Furthermore, we carry out a simulation study to evaluate the performance of the proposed methodology. This methodology has been implemented in a noncommercial and open source statistical software called R. We apply this methodology to a real data set to illustrate its flexibility and potentiality.
"The impact of exchange rate volatility on emerging market exports : a comparative study." Thesis, 2013. http://hdl.handle.net/10210/8334.
This research analyses the effect of exchange rate volatility on exports using a sample of nine emerging countries – Argentina, Brazil, India, Indonesia, Mexico, Malaysia, Poland, South Africa and Thailand – between 1995 and 2010. The study uses panel data models, with a standard exports equation with exports performance determined by exchange rate volatility, the level of exchange rate, demand conditions in major countries as well as terms of trade. Exchange rate volatility is measured by Generalised Autoregressive Conditional Heteroscedasticity (GARCH) and conventional standard deviation in order to determine if the instrument of volatility used influences the nature of the relationship between exchange rate volatility and exports. The results show that exchange rate volatility has a significant negative effect on the performance of exports regardless of the measure of volatility used. The Pedroni residual cointegration method was used to test for panel cointegration to determine if there is a long-run relationship among the variables, and the test showed that a long-run relationship does exists. Generally, the study concludes that policy mix that will reduce exchange rate volatility (such as managed exchange rate regimes) and relatively competitive exchange rates are essential for emerging markets in order to sustain their exports performance.
Книги з теми "Generalized Autoregressive Conditional Heteroscedasticity":
Engle, R. F. Forecasting transaction rates: The autoregressive conditional duration model. Cambridge, MA: National Bureau of Economic Research, 1994.
Kodaira, Ryoichi. Autoregressive conditional heteroscedasticity in the Japanese short-term money market rates (Gensaki rates). [s.l.]: typescript, 1994.
Shi, Feng. Learn About the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) Model in R With Data From the DJIA 30 Stock Time Series (2018). 1 Oliver's Yard, 55 City Road, London EC1Y 1SP United Kingdom: SAGE Publications Ltd., 2019. http://dx.doi.org/10.4135/9781526487650.
Makatjane, Katleho, and Roscoe van Wyk. Identifying structural changes in the exchange rates of South Africa as a regime-switching process. UNU-WIDER, 2020. http://dx.doi.org/10.35188/unu-wider/2020/919-8.
Krause, Timothy A. Pricing of Futures Contracts. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780190656010.003.0015.
Частини книг з теми "Generalized Autoregressive Conditional Heteroscedasticity":
Chang, Bao Rong. "Novel Prediction Approach – Quantum-Minimum Adaptation to ANFIS Outputs and Nonlinear Generalized Autoregressive Conditional Heteroscedasticity." In Fuzzy Systems and Knowledge Discovery, 908–18. Berlin, Heidelberg: Springer Berlin Heidelberg, 2006. http://dx.doi.org/10.1007/11881599_113.
Kirchgässner, Gebhard, Jürgen Wolters, and Uwe Hassler. "Autoregressive Conditional Heteroscedasticity." In Introduction to Modern Time Series Analysis, 281–310. Berlin, Heidelberg: Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-33436-8_8.
Alzghool, Raed. "ARCH and GARCH Models: Quasi-Likelihood and Asymptotic Quasi-Likelihood Approaches." In Linear and Non-Linear Financial Econometrics -Theory and Practice [Working Title]. IntechOpen, 2020. http://dx.doi.org/10.5772/intechopen.93726.
Yu, Philip L. H., Edmond H. C. Wu, and W. K. Li. "Financial Data Mining Using Flexible ICA-GARCH Models." In Dynamic and Advanced Data Mining for Progressing Technological Development, 255–72. IGI Global, 2010. http://dx.doi.org/10.4018/978-1-60566-908-3.ch011.
Geweke, John. "Exact inference in models with autoregressive conditional heteroscedasticity." In Dynamic Econometric Modeling, 73–104. Cambridge University Press, 1988. http://dx.doi.org/10.1017/cbo9780511664342.006.
Bond, Shaun A. "A review of asymmetric conditional density functions in autoregressive conditional heteroscedasticity models." In Return Distributions in Finance, 21–46. Elsevier, 2001. http://dx.doi.org/10.1016/b978-075064751-9.50003-5.
Mills, Terence C. "Volatility and Generalized Autoregressive Conditional Heteroskedastic Processes." In Applied Time Series Analysis, 161–71. Elsevier, 2019. http://dx.doi.org/10.1016/b978-0-12-813117-6.00010-7.
"6. Conditional Heteroscedasticity: Nonlinear Autoregressive Models, ARCH Models, Stochastic Volatility Models." In Financial Econometrics, 117–50. Princeton University Press, 2002. http://dx.doi.org/10.1515/9780691187020-007.
Mugaloglu, Yusuf I. "The Effect of Index Warrant Trading on the Underlying Volatility in the Post-Crisis Period." In Technology and Financial Crisis, 195–208. IGI Global, 2013. http://dx.doi.org/10.4018/978-1-4666-3006-2.ch017.
"Estimating Long-Term Volatility on National Stock Exchange of India." In Emerging Research on Monetary Policy, Banking, and Financial Markets, 229–37. IGI Global, 2019. http://dx.doi.org/10.4018/978-1-5225-9269-3.ch011.
Тези доповідей конференцій з теми "Generalized Autoregressive Conditional Heteroscedasticity":
Chi Xie and Lin Yao. "Portfolio Value-at-Risk estimating on markov regime switching copula-autoregressive conditional jump intensity-threshold generalized autoregressive conditional heteroscedasticity model." In 2012 International Conference on Information Management, Innovation Management and Industrial Engineering (ICIII). IEEE, 2012. http://dx.doi.org/10.1109/iciii.2012.6339654.
Czech, Katarzyna. "Is a Japanese yen a safe haven? Relationship between Japanese currency and financial market uncertainty." In 3rd International Conference on Administrative & Financial Sciences. Cihan University - Erbil, 2021. http://dx.doi.org/10.24086/afs2020/paper.353.
Chen, Hao, Jie Wu, and Shan Gao. "A Study of Autoregressive Conditional Heteroscedasticity Model in Load Forecasting." In 2006 International Conference on Power System Technology. IEEE, 2006. http://dx.doi.org/10.1109/icpst.2006.321620.
Sin, Kuek Jia, Chin Wen Cheong, and Tan Siow Hooi. "Level shift two-components autoregressive conditional heteroscedasticity modelling for WTI crude oil market." In THE 4TH INTERNATIONAL CONFERENCE ON MATHEMATICAL SCIENCES: Mathematical Sciences: Championing the Way in a Problem Based and Data Driven Society. Author(s), 2017. http://dx.doi.org/10.1063/1.4980990.
Ou, ChengQi, Charlene Xie, Jun Xu, and YunLiang Hu. "Generalized Autoregressive Conditional Heteroskedasticity in Credit Risk Measurement." In 2009 International Conference on Management and Service Science (MASS). IEEE, 2009. http://dx.doi.org/10.1109/icmss.2009.5304395.
Ilbeigi, Mohammad, Alireza Joukar, and Baabak Ashuri. "Modeling and Forecasting the Price of Asphalt Cement Using Generalized Auto Regressive Conditional Heteroscedasticity." In Construction Research Congress 2016. Reston, VA: American Society of Civil Engineers, 2016. http://dx.doi.org/10.1061/9780784479827.071.
Li, Qianru, Christophe Tricaud, Rongtao Sun, and YangQuan Chen. "Great Salt Lake Surface Level Forecasting Using FIGARCH Model." In ASME 2007 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. ASMEDC, 2007. http://dx.doi.org/10.1115/detc2007-34909.
Ranjan, Nikhil, Hema A. Murthy, and Timothy A. Gonsalves. "Detection of SYN flooding attacks using generalized autoregressive conditional heteroskedasticity (GARCH) modeling technique." In 2010 National Conference On Communications (NCC). IEEE, 2010. http://dx.doi.org/10.1109/ncc.2010.5430151.
Wang, Y., M. Sznaier, O. Camps, and F. Pait. "Identification of a class of generalized autoregressive conditional heteroskedasticity (GARCH) models with applications to covariance propagation." In 2015 54th IEEE Conference on Decision and Control (CDC). IEEE, 2015. http://dx.doi.org/10.1109/cdc.2015.7402327.
Dias, Rui, Paula Heliodoro, Paulo Alexandre, and Cristina Vasco. "THE SHOCKS BETWEEN OIL MARKET TO THE BRIC STOCK MARKETS: A GENERALIZED VAR APPROACH." In 4th International Scientific Conference – EMAN 2020 – Economics and Management: How to Cope With Disrupted Times. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/eman.2020.25.